|
Teoriya Veroyatnostei i ee Primeneniya, 1975, Volume 20, Issue 1, Pages 29–39
(Mi tvp2986)
|
|
|
|
This article is cited in 21 scientific papers (total in 21 papers)
Diffusion processes with unbounded drift coefficient
M. Ī. Portenko Kiev
Abstract:
The paper deals with properties of solutions of stochastic differential equations with non-degenerate Hölder continuous diffusion coefficient and integrable to some power drift coefficient. It is proved that the obtained in [1] solution of such an equation is a Markov process, and its transition probability function has a density. A uniqueness theorem for some class of solutions is proved. An integral-differential equation for the characteristics of the solution is also obtained.
Received: 29.10.1973
Citation:
M. Ī. Portenko, “Diffusion processes with unbounded drift coefficient”, Teor. Veroyatnost. i Primenen., 20:1 (1975), 29–39; Theory Probab. Appl., 20:1 (1975), 27–37
Linking options:
https://www.mathnet.ru/eng/tvp2986 https://www.mathnet.ru/eng/tvp/v20/i1/p29
|
|